India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1582	18.28***
β GARCH Volatility persistence	0.4864	6.64***
γ leverage Additional response to negative shocks	-0.0076	-0.14
λ₁ tau intercept Baseline long-term coefficient	1.8525	0.11
λ₂ forecast adj. Forecast performance sensitivity	0.8307	5.22***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Ashika Global Securities Ltd MF2-GARCH Volatility Analysis

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